Answer-first summary for fast verification
Answer: 9.337%
First find the cash price per $100 face value: \[ Y = 100 - 9.00\cdot\frac{180}{360} = 95.50 \] The continuously compounded true yield on an ACT/365 basis is: \[ \frac{365}{180}\ln\left(1 + \frac{4.5}{95.50}\right) \] This equals approximately: \[ 9.3367\% \] So the correct answer is **9.337%**.
Author: Manit Arora
Ultimate access to all questions.
Question 169.4. The Quoted Price of a 180-day Treasury bill is 9.00. What is the True Yield (a.k.a., effective return) to the investor under an actual/365 basis (ACT/365) with continuous compounding?
A
9.337%
B
9.424%
C
9.500%
D
9.667%
No comments yet.